Parametric and Nonparametric Augmented GPH Estimation.

This paper proposes a range of parametric and nonparametric corrections to the GPH estimator of the differencing parameter in a fractionally integrated process. It is argued that the GPH estimator can suffer from an identification problem at the very low frequencies in the spectrum in small samples.

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Year of publication:	1997
Authors:	Wilkins, N.P.
Institutions:	Department of Economics, Faculty of Business and Economics
Subject:	EVALUATION \| ECONOMETRICS

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Series:	Department of Economics - Working Papers Series.
Type of publication:	Book / Working Paper
Notes:	Number 551 25 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C20 - Econometric Methods: Single Equation Models. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005587679